Cross-correlations between Baltic Dry Index and crude oil prices

• We examine cross-correlations between BDI and crude oil prices.
• The cross-correlations between BDI and crude oil prices are significantly multifractal.
• The cross-correlations are strongly persistent in the short term.
• The cross-correlations are weakly anti-persistent in the long term.
• The multifractality of the cross-correlations is attributable to the volatility persistence and fat-tailed distributions.

This paper examines the cross-correlation properties of Baltic Dry Index (BDI) and crude oil prices using cross-correlation statistics test and multifractal detrended cross-correlation analysis (MF-DCCA). The empirical results show that the cross-correlations between BDI and crude oil prices are significantly multifractal. By introducing the concept of a “crossover”, we find that the cross-correlations are strongly persistent in the short term and weakly anti-persistent in the long term. Moreover, cross-correlations of all kinds of fluctuations are persistent in the short time while cross-correlations of small fluctuations are persistent and those of large fluctuations are anti-persistent in the long term. We have also verified that the multifractality of the cross-correlations of BDI and crude oil prices is both attributable to the persistence of fluctuations of time series and fat-tailed distributions.